[求助]谁熟悉sas中的varmax过程？

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

我想用sas中的varmax过程，但不太会，希望大家给我提供点参考资料或把应用要点给描述一下，谢谢！

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏2 回帖

关键词：varmax ARMAX VARMA ARMA ARM SAS varmax

请好心人帮帮忙！

顶

请参考SAS/ETS手册

1. /* Data 'a' Generated Process */
   
2.    proc iml;
   
3.       sig = {1.0  0.5, 0.5  1.25};
   
4.       phi = {1.2 -0.5, 0.6  0.3};
   
5.       call varmasim(y,phi) sigma = sig n = 100 seed = 46859;   
   
6.       cn = {'y1' 'y2'};
   
7.       create a from y[colname=cn];
   
8.       append from y;
   
9.    quit;
   
10. 
    
11. /* when the series has a linear trend */
    
12.    proc varmax data=a;
    
13.       model y1 y2 / p=1 trend=linear;
    
14.    run;
    
15. 
    
16. /* Fit subset of AR order 1 and 3 */
    
17.    proc varmax data=a;
    
18.       model y1 y2 / p=(1,3);
    
19.    run;
    
20.    
    
21. /* Check if the series is nonstationary */
    
22.    proc varmax data=a;
    
23.       model y1 y2 / p=1 dftest print=(roots);
    
24.    run;
    
25.    
    
26. /* Fit VAR(1) in differencing */
    
27.    proc varmax data=a;
    
28.       model y1 y2 / p=1 print=(roots) dify=(1);
    
29.    run;
    
30.    
    
31. /* Fit VAR(1) in seasonal differencing */
    
32.    proc varmax data=a;
    
33.       model y1 y2 / p=1 dify=(4) lagmax=5;
    
34.    run;
    
35. 
    
36. /* Fit VAR(1) in both regular and seasonal differencing */
    
37.    proc varmax data=a;
    
38.       model y1 y2 / p=1 dify=(1,4) lagmax=5;
    
39.    run;
    
40. 
    
41. /* Fit VAR(1) in different differencing */
    
42.    proc varmax data=a;
    
43.       model y1 y2 / p=1 dif=(y1(1,4) y2(1)) lagmax=5;
    
44.    run;
    
45. 
    
46. /* Options related prediction */
    
47.    proc varmax data=a;
    
48.       model y1 y2 / p=1 lagmax=3
    
49.                     print=(impulse covpe(5) decompose(5));
    
50.    run;
    
51. 
    
52. /* Options related tentative order selection */
    
53.    proc varmax data=a;
    
54.       model y1 y2 / p=1 lagmax=5 minic
    
55.                     print=(parcoef pcancorr pcorr);
    
56.    run;
    
57. 
    
58. /* Automatic selection of the AR order */
    
59.    proc varmax data=a;
    
60.       model y1 y2 / minic=(type=aic p=5);
    
61.    run;
    
62. 
    
63. /* Compare results of LS and Yule-Walker Estimator */
    
64.    proc varmax data=a;
    
65.       model y1 y2 / p=1 print=(yw);
    
66.    run;
    
67. 
    
68. /* BVAR(1) of the nonstationary series y1 and y2 */
    
69.    proc varmax data=a;
    
70.       model y1 y2 / p=1  
    
71.          prior=(lambda=1 theta=0.2 ivar nrep=200);
    
72.    run;
    
73. 
    
74. /* BVAR(1) of the nonstationary series y1 */
    
75.    proc varmax data=a;
    
76.       model y1 y2 / p=1  
    
77.          prior=(lambda=0.1 theta=0.15 ivar=(y1) seed=12345);
    
78.    run;
    
79. 
    
80. /* Data 'b' Generated Process */
    
81.    proc iml;
    
82.       sig = { 0.5  0.14 -0.08 -0.03,  0.14 0.71 0.16 0.1,
    
83.              -0.08 0.16  0.65  0.23, -0.03 0.1  0.23 0.16};
    
84.       sig = sig * 0.0001;
    
85.       phi = {1.2 -0.5 0.  0.1,  0.6 0.3 -0.2  0.5,  
    
86.              0.4  0. -0.2 0.1, -1.0 0.2  0.7 -0.2};
    
87.       call varmasim(y,phi) sigma = sig n = 100 seed = 32567;   
    
88.       cn = {'y1' 'y2' 'y3' 'y4'};
    
89.       create b from y[colname=cn];
    
90.       append from y;
    
91.    quit;
    
92. 
    
93. /* Cointegration Rank Test using Trace statistics */
    
94.    proc varmax data=b;
    
95.       model y1-y4 / p=2 lagmax=4 cointtest;
    
96.    run;
    
97. 
    
98. /* Cointegration Rank Test using Max statistics */
    
99.    proc varmax data=b;
    
100.       model y1-y4 / p=2 lagmax=4 cointtest=(johansen=(type=max));
     
101.    run;
     
102. 
     
103. /* Common Trends Test using Filter(Differencing) statistics */
     
104.    proc varmax data=b;
     
105.       model y1-y4 / p=2 lagmax=4 cointtest=(sw);
     
106.    run;
     
107. 
     
108. /* Common Trends Test using Filter(Residual) statistics */
     
109.    proc varmax data=b;
     
110.       model y1-y4 / p=2 lagmax=4 cointtest=(sw=(type=filtres lag=1));
     
111.    run;
     
112.    
     
113. /* Common Trends Test using Kernel statistics */
     
114.    proc varmax data=b;
     
115.       model y1-y4 / p=2 lagmax=4 cointtest=(sw=(type=kernel lag=1));
     
116.    run;
     
117. 
     
118. /* Cointegration Rank Test for I(2) */
     
119.    proc varmax data=b;
     
120.       model y1-y4 / p=2 lagmax=4 cointtest=(johansen=(iorder=2));
     
121.    run;
     
122.    
     
123. /* Fit VECM(2) with rank=3 */
     
124.    proc varmax data=b;
     
125.       model y1-y4 / p=2 lagmax=4 print=(roots iarr)  
     
126.                     ecm=(rank=3 normalize=y1);  
     
127.    run;
     
128. 
     
129. 
     
130. 
     
131. /* Weak Exogenous Testing for each variable */
     
132.    proc varmax data=b outstat=bbb;
     
133.       model y1-y4 / p=2 lagmax=4   
     
134.                     ecm=(rank=3 normalize=y1);  
     
135.       cointeg rank=3 exogeneity;
     
136.    run;
     
137. 
     
138. /* Hypotheses Testing for long-run and adjustment parameter */
     
139.    proc varmax data=b outstat=bbb;
     
140.       model y1-y4 / p=2 lagmax=4   
     
141.                     ecm=(rank=3 normalize=y1);  
     
142.       cointeg rank=3 normalize=y1  
     
143.          h=(1 0 0, 0 1 0, -1 0 0, 0 0 1)
     
144.          j=(1 0 0, 0 1 0, 0 0 1, 0 0 0);
     
145.    run;
     
146. 
     
147. /* ordinary regression model */
     
148.    proc varmax data=grunfeld;
     
149.       model y1 y2 = x1-x3;
     
150.    run;
     
151. 
     
152. /* Ordinary regression model with subset lagged terms */
     
153.    proc varmax data=grunfeld;
     
154.       model y1 y2 = x1 / xlag=(1,3);
     
155.    run;
     
156.    
     
157. /* VARX(1,1) with no current time Exogenous Variables */
     
158.    proc varmax data=grunfeld;
     
159.       model y1 y2 = x1 / p=1 xlag=1 nocurrentx;
     
160.    run;
     
161. 
     
162. /* VARX(1,1) with different Exogenous Variables */
     
163.    proc varmax data=grunfeld;
     
164.       model y1 = x3, y2 = x1 x2 / p=1 xlag=1;
     
165.    run;
     
166.    
     
167. /* VARX(1,2) in difference with current Exogenous Variables */
     
168.    proc varmax data=grunfeld;
     
169.       model y1 y2 = x1 / p=1 xlag=2 difx=(1) dify=(1);
     
170.    run;

复制代码

varmax没用过，主要用来解决什么问题的？帮忙扫扫盲吧。